Tactical Asset Allocation + HBPP an intriguing combo

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ochotona
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Fri Nov 29, 2019 2:16 pm

The GEM portfolio is in US Equities for December 2019 (SPY, IVV, VOO, SCHX).
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Tue Dec 31, 2019 9:45 am

The GEM portfolio is in US Equities for January 2020 (SPY, IVV, VOO, SCHX).
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by rocketdog » Tue Dec 31, 2019 10:11 am

ochotona wrote:
Thu Jun 01, 2017 2:06 pm
I have almost entirely exited US equities. I bought CWI ETF of global stocks excluding US. VEU is another choice. This was the May 31 Dual Momentum signal.

It feels strange. Now the financial news is oddly not relevant. I'm dependent on Mario Draghi, PBoC, BOJ more than Yellen.
It's fun to look at old posts like this to see what people were doing with their portfolios and checking to see if it was the right decision or not. In this case... not. From 5/31/2017 (the date of the GEM signal) to 12/31/2019, here are the performance differences of the funds mentioned:

SPY: +40%
CWI: +16%
VEU: +16%

So if you had switched from SPY to either CWI or VEU on 5/31/2017 and held until now, you would have forfeited 24% of your potential profits within a mere 2-1/2 years, for an annualized under-performance of nearly 10%.

So much for momentum signals... :o
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by Kbg » Tue Dec 31, 2019 11:24 am

rocketdog wrote:
Tue Dec 31, 2019 10:11 am
ochotona wrote:
Thu Jun 01, 2017 2:06 pm
I have almost entirely exited US equities. I bought CWI ETF of global stocks excluding US. VEU is another choice. This was the May 31 Dual Momentum signal.

It feels strange. Now the financial news is oddly not relevant. I'm dependent on Mario Draghi, PBoC, BOJ more than Yellen.
It's fun to look at old posts like this to see what people were doing with their portfolios and checking to see if it was the right decision or not. In this case... not. From 5/31/2017 (the date of the GEM signal) to 12/31/2019, here are the performance differences of the funds mentioned:

SPY: +40%
CWI: +16%
VEU: +16%

So if you had switched from SPY to either CWI or VEU on 5/31/2017 and held until now, you would have forfeited 24% of your potential profits within a mere 2-1/2 years, for an annualized under-performance of nearly 10%.

So much for momentum signals... :o
Well, how about let's just say you don't actually understand the profit/loss profile of a momentum system and this one in particular.

Correct on underperformance. I do not run the classic GEM so my performance stats are different but the version I run since the date cited has the following stats.

5.06 CAGR vs.
13.74 for a buy and hold of the S&P 500 equivalent asset
5.46 for a buy and hold of the ex US equivalent asset
3.70 for a buy and hold of the US bond asset

But that is only half of the story...if we throw in MaxDDs we find the following:
-19.36 MaxDD for S&P 500
-21.51 MaxDD for ex-US
-3.57 MaxDD for Bonds

System MaxDD -9.11

NOT a newsflash to anyone who has studied the system - in a strong US bull stock market the system underperforms

So please post this exact same post when one of three things happens and I promise to run the numbers and post them

1. Intl outpeform US
2. Bonds outpeform anything
3. a bear market
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by rocketdog » Tue Dec 31, 2019 1:46 pm

People obsess over max drawdowns WAY too much. Unless you're in retirement (or close to it) you should ignore drawdowns entirely. In fact, you should greedily view them as ideal buying opportunities.

The market only took 3 years to completely recover from the Great Recession, and that was after a drawdown of 40%! So if you were a buyer of stocks during that period (rather than selling in a panic), then you made out like a bandit.

"Be greedy when others are fearful, and fearful when others are greedy." - some smart investor guy :)
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by InsuranceGuy » Tue Dec 31, 2019 6:35 pm

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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by rocketdog » Tue Dec 31, 2019 10:53 pm

Hence my point: "if you were a buyer of stocks during that period (rather than selling in a panic), then you made out like a bandit."

Ignore drawdowns to your benefit, or ignore them at your perile. After all, it's your money.
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Re: Dual Momentum GEM + HBPP a great combo, easy to test

Post by ochotona » Wed Jan 01, 2020 10:23 am

rocketdog wrote:
Tue Dec 31, 2019 10:11 am
It's fun to look at old posts like this to see what people were doing with their portfolios and checking to see if it was the right decision or not. In this case... not. From 5/31/2017 (the date of the GEM signal) to 12/31/2019, here are the performance differences of the funds mentioned:

SPY: +40%
CWI: +16%
VEU: +16%

So if you had switched from SPY to either CWI or VEU on 5/31/2017 and held until now, you would have forfeited 24% of your potential profits within a mere 2-1/2 years, for an annualized under-performance of nearly 10%.

So much for momentum signals... :o
If you have time to make fun of people's investment strategies, you're making poor use of your limited time on earth. Yes, I am as Old As Dirt, and I want to retire soon, so I tailor my portfolio mix to have a probably worst case -10% Max Drawdown so I don't end up stealing cat food from my orange cat.

Most strategies have underperformed relative to buy and hold S&P 500 since 2009. I assure you, as someone who has been investing since 1985, it will not be like this forever. When S&P 500 buy and hold investors are singing the blues for years, we won't hear from them. Everyone measures against the S&P 500, but the S&P 500 knows nothing about your personal financial goals, time horizons, risk tolerance, or anything like that. It's just stupidity. Go ahead, be like a teenager on Instagram and compare yourself to the S&P 500. Your day is coming in the fullness of the complete bull/bear market cycle.

AND US Large Caps were underwater for 4 years 10 months after the Great Recession, not three years. Your facts are wrong.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by Kbg » Wed Jan 01, 2020 11:34 am

Och,

If you have not done so I highly recommend a segmented DM lookback approach vs 12mo lookback. I’m pretty convinced it’s a better method.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Wed Jan 01, 2020 7:34 pm

Kbg wrote:
Wed Jan 01, 2020 11:34 am
Och,

If you have not done so I highly recommend a segmented DM lookback approach vs 12mo lookback. I’m pretty convinced it’s a better method.
I'm using a 3, 6 and 12 month averaged lookback now... but still only one trading signal, on or off. Not using tranches. It's part of the Economic Pulse service. The 12 month lookback GEM reporting is just for the benefit of those readers who may be interested.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by Kbg » Wed Jan 01, 2020 8:14 pm

ochotona wrote:
Wed Jan 01, 2020 7:34 pm
Kbg wrote:
Wed Jan 01, 2020 11:34 am
Och,

If you have not done so I highly recommend a segmented DM lookback approach vs 12mo lookback. I’m pretty convinced it’s a better method.
I'm using a 3, 6 and 12 month averaged lookback now... but still only one trading signal, on or off. Not using tranches. It's part of the Economic Pulse service. The 12 month lookback GEM reporting is just for the benefit of those readers who may be interested.
Mine it as follows:

Lookback starting at 63 market days and incrementing 21 market days up to 252 market days (3-12 mo LB) for a total of 10 independent lookbacks with each getting 10% of the DM portfolio. I like it MUCH better as it isn't so binary. Of interest it has actually had a small allocation to intl which is a first.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Fri Jan 03, 2020 8:15 am

Kbg wrote:
Wed Jan 01, 2020 8:14 pm
Mine is as follows:

Lookback starting at 63 market days and incrementing 21 market days up to 252 market days (3-12 mo LB) for a total of 10 independent lookbacks with each getting 10% of the DM portfolio. I like it MUCH better as it isn't so binary. Of interest it has actually had a small allocation to intl which is a first.

Lots of little moves... very well thought out. Congratulations. I ran into a trading problem at Schwab yesterday because of my order size, I wonder if tranching is in my future.

Order too large - a really, really, really good problem to have. Definitely first-world Asian / Causasoid problem.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by Kbg » Fri Jan 03, 2020 1:53 pm

ochotona wrote:
Fri Jan 03, 2020 8:15 am
Kbg wrote:
Wed Jan 01, 2020 8:14 pm
Mine is as follows:

Lookback starting at 63 market days and incrementing 21 market days up to 252 market days (3-12 mo LB) for a total of 10 independent lookbacks with each getting 10% of the DM portfolio. I like it MUCH better as it isn't so binary. Of interest it has actually had a small allocation to intl which is a first.

Lots of little moves... very well thought out. Congratulations. I ran into a trading problem at Schwab yesterday because of my order size, I wonder if tranching is in my future.

Order too large - a really, really, really good problem to have. Definitely first-world Asian / Causasoid problem.
That IS a good problem to have...and if I were you I would be thinking about changing brokers to something like Interactive Brokers. In any event, I would be paying a huge amount of attention to execution issues which is hands down your biggest problem now if you are rolling bones that large. IIRC they (Schwab) also has a number to call for trading large orders...really, you can get creamed/screwed royally in costs that you are unaware of when trading large size. In all likelihood you are losing far more money in execution than even a pretty hefty commission. Order sophistication is a worthwhile topic to get up to speed on if you are not already.

On the incrementing...would love to say it was my idea, but I got it from Newfound who did a research report on it using GEM specifically...it definitely caught Antonacci's attention as I think he was pretty much compelled to respond which he did on his blog.

Also...incrementing isn't tranching. Subtle but key difference. Tranching is using the same system parameters traded on different dates. Incrementing is not being beholden to a specific lookback time period. The net effect of incrementing is that you get the mid point of a range of different lookbacks and greatly reduce your end result's association to pure timing luck.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Fri Jan 03, 2020 2:08 pm

I took a look at Interactive Brokers but it was a bit confusing ... will look at it again.

5 min later... IBKR has a flat rate plan of $0.005 per share. Well, using Schwab and MOC orders, I got exactly the closing price of the ETF, though I had to pay $25 for 6000 shares, or $0.00416 per share. Eh... it's all the same.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by Kbg » Fri Jan 03, 2020 3:23 pm

If you are doing MOC, you are likely OK. At least you get an actual market price vs. computer algos dueling it out.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Thu Jan 30, 2020 8:29 pm

The GEM portfolio is in US Equities for February 2020 (SPY, IVV, VOO, SCHX). I don't think anything will happen tomorrow that could change that in the next 18.5 hours.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by InsuranceGuy » Mon Feb 03, 2020 2:00 pm

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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Sat Feb 29, 2020 9:00 am

The GEM portfolio is in US Equities for March 2020 (SPY, IVV, VOO, SCHX).

Obviously, huge changes are underway. If the S&P 500 closes down another roughly 4% or so by the end of March, GEM will be in bonds.

Compared to some other strategies, GEM is a slow reactor. That's why people like it and dislike at the same time. We just went a year with no trades, right? Nice and easy. But now GEM is still invested while some other strategies have gone to safe-haven assets already. The waiting can be agonizing.

You just have to decide ahead of time what kind of strategy you want, and then stick to it. You have to be able to sleep at night. No one can answer that for you, you have to answer it for yourself.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Sat Mar 14, 2020 8:31 am

I see HPBB is down about 5% from Feb 19, that's super. I'm very happy for all of the HBPP investors.

By now I don't think it's a violation of IP to say that Paul Novell's newsletter got me out of equities at the end of February. Every TAA strategy is out or will be out at their next trading date. I was only 55% equities to begin with the moment the dam broke, so I am down 3.3% right now. I think that's a huge win.

If gold pukes down 25% like it did in 2008, I'm a buyer in the $1050 - $1250 range again.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by HappyMan » Sat Mar 14, 2020 8:54 am

Congrats!

Did the newsletter explicitly say "Get out!" or was it your calculations based on the information in the newsletter?
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Sun Mar 15, 2020 4:35 pm

I got an email 30 min before market close advising me to sell. Emotionally very easy. Push the button, logoff.

But I knew it was coming based on the moving average Paul uses.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by HappyMan » Sun Mar 15, 2020 9:49 pm

Impressive!

How often those e-mails come?
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by TrickPony » Mon Mar 16, 2020 10:28 am

I guess I will just wait to the end of the month and switch to bonds...I probably will be switching at the exact time bonds crater and stocks take off. Sometimes mechanical investing sucks!
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Mon Mar 16, 2020 7:53 pm

HappyMan wrote:
Sun Mar 15, 2020 9:49 pm
Impressive!

How often those e-mails come?
Weekly. Last day of the month also Fridays. But not on Friday when the last week of the month is that week.

I think the real-world applicability of the original idea behind this thread has been proven. I was 55% equities when the storm hit, 13% gold, 12% cash, rest bonds mostly short and intermediate term US Treasuries (everyone here knows I'm allergic to TLT, though I do have a few shares). So half trend-following, the other half sort-of the other three HBPP components.

When the storm hit, the bonds and gold zoomed, the cash was just cash, and then on 2/28 I pulled the rip cord. And I have a rule for getting back in. And even if the author of the newsletter were to stop sending them, I know enough about the method to keep on improvising my way through. He's very transparent with his paid members. It's Dual Momentum with embellishments and many variations to fit all tastes. And no, I don't get kickbacks.

I can't call it fun - but it wasn't a disaster. The airbags went off. The bike helmet worked.
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Re: Tactical Asset Allocation + HBPP an intriguing combo

Post by ochotona » Mon Mar 16, 2020 7:57 pm

InsuranceGuy wrote:
Mon Feb 03, 2020 2:00 pm
25% Momentum switching between the Nasdaq 100 and Cash based on the Philosophical Economics GT timing using S&P 500 and the Unemployement.

Very much like Paul Novell's SPY-UI model. Use SPY 6 mo moving average and the 12 mo moving average of the unemployment rate as a risk-on, risk-off.
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